New Project

Install NetBeans Install TortoiseSVN Right click, Click “SVN checkout” to check out project using TortoiseSVN Checkout AlgoQuant project Create new source code in your own project or copy source code from AlgoQuant project to your own project to modify. Commit code by right click the project folder, select “SVN...

Graphical LASSO Algorithm

GLASSOFAST is the Graphical LASSO algorithm to solve the covariance selection problem. References “Sustik, M.A. and Calderhead, B., “GLASSOFAST: An efficient GLASSO implementation,” UTCS Technical Report TR-12-29, November 6, 2012.” “O. Banerjee, L. E. Ghaoui and A. d’Aspremont, “Model Selection Through Sparse Maximum Likelihood Estimation for multivariate Gaussian or Binary Data,” Journal of Machine Learning Research, 9, pp. 485-516, March 2008.”...

Covariance Selection

The covariance selection problem is formulated as this: in the variable of in , where is the sample covariance matrix, the cardinality of , i.e., the number of non-zero coefficients in . is a parameter controlling the tradeoff between the likelihood and structure. References “O. Banerjee, L. E. Ghaoui and A. d’Aspremont, “Model Selection Through Sparse Maximum Likelihood Estimation for multivariate Gaussian or Binary Data,” Journal of Machine Learning Research, 9, pp. 485-516, March 2008.” “A. d’Aspremont, “Identifying Small Mean Reverting Portfolios”, 2008.”...